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The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

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Author Info

  • Essahbi Essaadi

    ()
    (Unité d'Analyse Quantitative Appliquée (UAQUAP)-ISG, Tunisie and GATE-Lyon 2 (UMR 5824 CNRS))

  • Jamel Jouini

    ()
    (F.S.E.G.N., E.S.S.A.I. and L.E.G.I., Université 7 Novembre de Carthage, Tunisie, GREQAM, Université de la Méditerranée, France)

  • Wajih Khallouli

    ()
    (Unité d'Analyse Quantitative Appliquée (UAQUAP) and ESSEC, Université de Tunis, Tunisie)

Abstract

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perrons (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

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Bibliographic Info

Article provided by Savez ekonomista Vojvodine, Novi Sad, Serbia in its journal Panoeconomicus.

Volume (Year): 56 (2009)
Issue (Month): 2 (June)
Pages: 241-260

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Handle: RePEc:voj:journl:v:56:y:2009:i:2:p:241-260

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Web page: http://www.panoeconomicus.rs/

Related research

Keywords: Shift-contagion; Time-varying correlation; Sequential selection procedure;

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References

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Citations

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Cited by:
  1. João Sousa Andrade & Adelaide Duarte, 2011. "The Fundamentals of the Portuguese Crisis," GEMF Working Papers 2011-16, GEMF - Faculdade de Economia, Universidade de Coimbra.
  2. Allegret, Jean-Pierre & Essaadi, Essahbi, 2011. "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, vol. 28(1-2), pages 351-365, January.
  3. Houssem Rachdi, 2010. "The Link between International Supervision and Banking Crises," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 321-332, September.
  4. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00333582, HAL.
  5. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
  7. Chia-Hsun Hsieh & Shian-Chang Huang, 2012. "Time-Varying Dependency and Structural Changes in Currency Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(2), pages 94-127, March.

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